Paper 4, Section I, J

Statistical Modelling
Part II, 2019

In a normal linear model with design matrix XRn×pX \in \mathbb{R}^{n \times p}, output variables yRny \in \mathbb{R}^{n} and parameters βRp\beta \in \mathbb{R}^{p} and σ2>0\sigma^{2}>0, define a (1α)(1-\alpha)-level prediction interval for a new observation with input variables xRpx^{*} \in \mathbb{R}^{p}. Derive an explicit formula for the interval, proving that it satisfies the properties required by the definition. [You may assume that the maximum likelihood estimator β^\hat{\beta} is independent of σ2yXβ^22\sigma^{-2}\|y-X \hat{\beta}\|_{2}^{2}, which has a χnp2\chi_{n-p}^{2} distribution.]